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OptionsMike

Backtesting Trading Systems

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All,

I'm interested in developing some robust medium-time-frame trading systems that I can evaluate by backtesting. I'm looking for soild recommendations on which software people use and why they like it.

 

Thanks,

 

OptionsMike

Index of SPAM/

 

why don't you simply come out and say: clickonmyspam!

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Developing a trading system is not easy. It requires first of all good trading experience. Than you need to test your trading system under live trading conditions. It might take time as well as involve the risk of losing money. To overcome this difficulty in testing a trading system or a trading strategy, backtesting has been developed. Backtesting is possible with the use of software. A trading system might comprise of a set of two or more indicators with a set of rules that tell when to enter or exit the trade.

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Hello Manolo,

Thanks for your response. I agree with your comments. Do you use any particular software? And how does it work for you? I have been using Wealth-Lab but I do not like all aspects of this program. I have been checking out Tradery products and StrataSearch products but have not formed an opinion yet. Wishing you successful trading.

 

OptionsMike

Safe Options Trading Income

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BacktestingXL is an add-in for backtesting trading strategies in Microsoft Excel. It enables you to test and evaluate end-of-day trading strategies using historical data.

 

Users can use VBA (Visual Basic for Applications) to build strategies for BacktestingXL. However, VBA knowledge is optional - in addition to using VBA-constructed trading rules, you can construct trading rules on a spreadsheet using standard pre-made backtesting codes. For more information please visit the Strategy Creation section.

 

Sample backtesting strategies are available to download for free. They demonstrate how BacktestingXL can be efficiently applied. The following strategies are available:

 

SMA Cross

New High

New Low

Rainbow Max

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Many trades per day does your trading system generate? It’s not important how long you backtest a trading system; it’s important that you receive enough trades to make statistically valid assumptions*: If your trading system generates three trades per day, i.e. 600 trades per year, then a year of testing gives you enough data to make reliable assumptions*. But if your trading system generates only three trades per month, i.e. 36 trades per year, then you should backtest a couple of years to receive reliable data.

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Many trades per day does your trading system generate? It’s not important how long you backtest a trading system; it’s important that you receive enough trades to make statistically valid assumptions*: If your trading system generates three trades per day, i.e. 600 trades per year, then a year of testing gives you enough data to make reliable assumptions*. But if your trading system generates only three trades per month, i.e. 36 trades per year, then you should backtest a couple of years to receive reliable data.

 

I completely disagree. You need more than just enough trades, you need enough trades over a valid period of time that incorporates all types of market conditions. Otherwise you are merely cherry picking.

 

(Given you have a number of asterisk in your post it seems more of a disclaimer :2c:)

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Having said that with smaller granularity systems (smaller 'time frame' if you like) you will experience all market conditions over the course of a much shorter time. If you are sampling data every 1 minute (a 1 minute chart if you like) the system will experience most types of market conditions within a week, certainly a month. Even in a 'bull' market stuff moves up down and sideways if you 'zoom in' a bit. There is an argument that you should trade different systems (or have a system that trades differently) dependant on market conditions.

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a combination for me.....but I view backtesting as a way to test ideas more than to actually run a system on

I have used ninja, multicharts, trading blox., and my own excel system

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I like TradeStation for programming back tests. Multi-charts also works good. If you don't know how to program code for signals, someone can do that for you, build a combination of signals, and optimize the results... example: Less Than Random ... Less Than Random

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a combination for me.....but I view backtesting as a way to test ideas more than to actually run a system on

I have used ninja, multicharts, trading blox., and my own excel system

 

Is Trading Blox the Curtis Faith software?

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Is Trading Blox the Curtis Faith software?

 

yes....I dont know the full story of his involvement with it...now or previously, but it is comprehensive and more aligned for backtesting for portfolios and combining multiple systems. If you are interested in single instrument testing or simple ideas its probably not worth it.

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